Question: Question 4 Consider the following two Treasury Securities : Show all working. BOND PRICE MODIFIED DURATION A. $1000.00 6 B. $800.00 7 Which bond will

Question 4

Consider the following two Treasury Securities : Show all working.

BOND PRICE MODIFIED DURATION

A. $1000.00 6

B. $800.00 7

Which bond will have the greater Dollar Price Volatility for a 25 Bases Point change in interest Rates?

Percentage price change = CONVEXITY EFFECT+ DURATION EFFECT

However for this question use the estimate dollar price change as DP=[modified Duration)P(DY)

Question 4 Consider the following two Treasury Securities : Show all

Consider the following two Treasury Securities Which bond will have the greater Dollar Price Volatility for a 25 Bases Point change in interest Rates? Percentage price change = CONVEXITY EFFECT + DURATION EFFECT However for this question use the estimate dollar price change as DP= (modified Duration)P(DV)

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